Optimal Time-Consistent Investment Strategy for a DC Pension Plan with the Return of Premiums Clauses and Annuity Contracts

<table>Evolutions of optimal investment strategy <svg height="13.95" id="M169" style="vertical-align:-0.16302pt" version="1.1" viewbox="0 0 17.775 13.95" width="17.775" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
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<g transform="matrix(.012,-0,0,-.012,10.113,5.525)"><path d="M471 153q-22 -15 -61 -13q-25 31 -45.5 49.5t-56.5 41.5q4 -71 28 -134q-17 -33 -42 -46q-24 12 -42 46q24 63 28 134q-36 -23 -56.5 -41.5t-45.5 -49.5q-36 -2 -61 13q0 28 19 59q65 10 130 43q-65 33 -130 43q-19 31 -19 59q22 15 61 13q25 -31 45.5 -49.5t56.5 -41.5
q-4 71 -28 134q17 33 42 46q24 -12 42 -46q-24 -63 -28 -134q36 23 56.5 41.5t45.5 49.5q36 2 61 -13q0 -28 -19 -59q-65 -10 -130 -43q65 -33 130 -43q19 -31 19 -59z" id="x2217"></path></g>
</svg> with different risk-free interest rates <svg height="7.9499998" id="M170" style="vertical-align:-0.0pt" version="1.1" viewbox="0 0 7.3000002 7.9499998" width="7.3000002" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
<g transform="matrix(.017,-0,0,-.017,.062,7.675)"><path d="M393 379q-9 -16 -28 -29q-15 -10 -23 -2q-19 19 -36 19q-21 0 -52 -38q-57 -72 -82 -126l-40 -197q-23 -3 -75 -18l-7 7q49 196 74 335q7 43 -2 43q-7 0 -30 -14.5t-47 -37.5l-16 23q37 42 82 73t67 31q41 0 15 -113l-11 -50h4q41 71 85 117t77 46q29 0 45 -26
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</svg>.</table>

Discrete Dynamics in Nature and Society

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Figure 2

Figure 2: Optimal Time-Consistent Investment Strategy for a DC Pension Plan with the Return of Premiums Clauses and Annuity Contracts 